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European Journal of Operational Research, ISSN 0377-2217, 09/2019
Journal Article
Insurance: Mathematics & Economics, ISSN 0167-6687, 05/2017, Volume 74, pp. 20 - 30
We model intergenerational risk sharing in closing funded pension plans. Specifically, we consider a setting in which in each period, the pension fund's... 
G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors | Defined benefit | Dynamic bargaining | D9 - Intertemporal Choice | intergenerational risk sharing | Pension funds | Asymmetric Nash bargaining solution | C78 - Bargaining Theory ; Matching Theory
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 05/2017, Volume 74, p. 20
We model intergenerational risk sharing in closing funded pension plans. Specifically, we consider a setting in which in each period, the pension fund’s... 
Bargaining | Risk sharing | Defined benefit plans | Mathematical models | Optimization
Journal Article
Contemporary Accounting Research, ISSN 0823-9150, 03/2006, Volume 23, Issue 1, pp. 103 - 131
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 05/2017, Volume 74, pp. 20 - 30
Journal Article
Insurance: Mathematics & Economics, ISSN 0167-6687, 01/2017, Volume 72, pp. 175 - 188
Existing literature regarding the natural hedge potential that arises from combining different longevity linked liabilities typically does not address the... 
Risk redistribution | Heterogeneous beliefs | Longevity risk | Nash bargaining | Natural hedge potential
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 01/2017, Volume 72, pp. 175 - 188
Existing literature regarding the natural hedge potential that arises from combining different longevity-linked liabilities typically does not address the... 
Longevity risk | Risk redistribution | Heterogeneous beliefs | Nash bargaining | Natural hedge potential | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | VALUE-AT-RISK | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | TREND | LIFE | Liability (Law) | Health aspects | Mortality
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 01/2017, Volume 72, p. 175
Existing literature regarding the natural hedge potential that arises from combining different longevity-linked liabilities typically does not address the... 
Numerical analysis | Life annuities | Liability | Liabilities | Mortality | Income redistribution | Risk | Longevity | Risk management
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 07/2013, Volume 53, Issue 1, pp. 134 - 149
It is common practice for public pension schemes to offer individuals the option to delay benefit claiming until after the normal retirement age, and increase... 
Actuarial nonequivalence | Pension benefit claiming | Preference-free dominance | Delay options | ANNUITIES | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | RETIREMENT | ANNUITIZATION | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Retirement age | Pensions
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 07/2015, Volume 63, p. 153
  Forecasted mortality rates using mortality models proposed in the recent literature are sensitive to the sample size. In this paper we propose a method based... 
Studies | Sample size | Mortality | Bayesian analysis | Forecasting techniques
Journal Article
Contemporary Accounting Research, ISSN 0823-9150, 04/2015, Volume 32, Issue 1, p. 223
  This study examines a setting in which a tax-reporting decision is delegated to a firm's tax manager. Using financial accounting measures of tax expense to... 
Accounting | Tax avoidance | Management theory | Decision analysis
Journal Article
Journal of Risk and Insurance, ISSN 0022-4367, 04/2017, Volume 84, Issue S1, pp. 459 - 475
Parameter uncertainty and model misspecification can have a significant impact on the performance of hedging strategies for longevity risk. To mitigate this... 
MORTALITY | BUSINESS, FINANCE | LEE-CARTER | UNCERTAINTY | ECONOMICS | MODEL | PARAMETER
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 07/2013, Volume 53, Issue 1, p. 134
  It is common practice for public pension schemes to offer individuals the option to delay benefit claiming until after the normal retirement age, and... 
Studies | Deferred compensation | Insurance claims | Accruals | Actuaries | Annuities | Interest rates
Journal Article
Contemporary Accounting Research, ISSN 0823-9150, 04/2015, Volume 32, Issue 1, pp. 223 - 242
This study examines a setting in which a tax-reporting decision is delegated to a firm's tax manager. Using financial accounting measures of tax expense to... 
BUSINESS, FINANCE | INCENTIVES | Measurement | Technique | Accounting | Analysis
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 02/2010, Volume 200, Issue 3, p. 788
  In a deposit game coalitions are formed by players combining their capital. The proceeds of their investments then have to be divided among those players.... 
Studies | Allocations | Game theory | Reinvestment
Journal Article
Contemporary Accounting Research, ISSN 0823-9150, 09/2017, Volume 34, Issue 3, pp. 1522 - 1546
We investigate the economic effects of capitalizing development costs during a race between two firms to discover and develop a new technology. Winning the... 
DEVELOPMENT COMPETITION | CHOICE | BUSINESS, FINANCE | IMPACT | VALUE RELEVANCE | UNCERTAINTY | DEVELOPMENT EXPENDITURES | INTANGIBLES | Startups | Capital costs | Capitalization | Research & development--R&D | Accounting policies | Development stage enterprises
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 01/2012, Volume 50, Issue 1, p. 26
In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that... 
Studies | Allocations | Linear programming | Risk capital
Journal Article
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